Oil Price Shocks and Stock Market Returns. Evidence from 11 Member Countries of OECD

      Аннотация: This book evaluates the size of impact that oil price shocks have on the stock market returns. It also investigates which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks. This study is carried out on 11 countries by applying unrestricted Vector Autoregressive model with Impulse response and Variance decomposition to structure the results and facilitate interpretation.

Ключевые слова: vector autoregressive model, cointegration, Impulse Response, Stock Returns, Unit Root, Variance Decomposition, Oil Price Shock